Introducing: Research Factsheet V2
Market Depth, Historical Volatility, Historical Correlations, Exchange Volumes, and More
We are pleased to introduce the second version of our weekly Research Factsheet. Factsheet V2 places an increased emphasis on exchange/pair market data, historical time series, order book visualizations, and interactive data. Our Factsheet is a continual work in progress and we greatly appreciated the feedback we received on V1.
New Format
Factsheet V2 is re-formatted to include metrics and charts grouped by four themes:
1. Price and Volume
2. Exchange Volume
3. Volatility and Correlations
4. Order Book Liquidity
Each week, we will run through the highlights from each of the four sections, providing commentary in our newsletter and interactive data on our website. On weeks where Kaiko analysts publish original research and commentary, we will include a summary at the end of the newsletter. Our interactive Factsheet provides charts and data for additional currency pairs not included in the PDF version.
Below, find an introduction to our new and improved metrics and charts:
Price and Volume
Returns and Daily Volume
This chart provides a comparison of an asset’s daily week-on-week returns and daily volume. The returns are computed as the difference between the close price on the last day of the week and the first day of the week, divided by the price on that day. Daily traded volume equals the amount of the base asset traded against all other assets in our exchange selection, quoted in USD.
Stablecoins
In a perfect world the price of stablecoins should be stable — yet, our stablecoin volume and price charts show that this assumption is false. We chart the percentage changes in price and overall volume for 4 of the largest stablecoins and Tether. We can observe that Pax and Dai exhibit the most price volatility over time, while USDC has the highest trading volume, second to Tether. We can also observe a slight correlation between the trading volume of Tether and the price. During changes in trading activity, Tether’s price has fluctuated between 1.001 and .9995 over the past few weeks.
Exchange Volume
Daily Trading Volume Per Exchange
This visualization provides an exchange/pair overview of trading volume on our selection of exchanges. We can observe the market share that each exchange holds, with Coinbase, Bitstamp, and Kraken in the lead, as well as the day-by-day differences in volume over the past two weeks.
Exchange Weekly Percentage Volume Change
This detailed chart breaks down volume changes over time. The data takes the week-by-week difference between the sums of BTC/USD, ETH/USD, and XRP/USD volume on each exchange. On our interactive Factsheet, we provide volumes for more than 15 trading pairs including BTC/USDT, BTC/EUR, and BTC/JPY. With this data, we can observe that volumes have fallen considerably since the peak in mid-March, with three consecutive weeks of falling BTC trading volume on all exchanges.
Volatility and Correlations
Realized 20-Day Volatility
Our volatility calculation allows for a comparison of the overall distribution of volatility for top crypto assets, traditional assets, and stablecoins. New to the visualization is the addition of outliers. The annualized volatility of each asset represented in this box-and-whisker plot is derived from the annualized 20-day rolling standard deviation of daily log returns, calculated using the previous 6 months of data. We can observe that ETH/USD exhibits positive skewness to a greater degree than BTC/USD, implying price variations have been more extreme.
Historical Realized Volatility
Our new historical volatility chart shows how volatility changes over time for top crypto assets, traditional assets, and stablecoins. We can observe a peak during the weeks of extreme price volatility mid-March, with a corresponding fall as the 20-day rolling window passed. This chart can be customized to include any combination of assets on our Interactive Factsheet.
Historical Correlations of Returns: BTC
This chart builds on our existing correlation matrix of returns by allowing for the comparison of historical BTC correlations with top crypto and traditional assets. We can observe that BTC’s correlation with Gold has varied considerably over the past few months, at times crossing into negative territory.
Order Book Liquidity
2% Market Depth (Depth Calculated in Base Asset)
Our newest order book liquidity metric charts the depth of individual markets on our selection of top exchanges. 2% market depth is the sum of the quantity of both bids and asks placed within 2% from the midprice on a trading pair’s order book. Market makers will place bids and asks at various price levels surrounding the midprice. Depending on the current midprice, we take the sum of all bids and asks within a 2% range, and average this sum over time. Generally, the greater the market depth for a trading pair, the more liquid the market. We can observe in the charts above that Bitfinex has the highest market depth compared with other markets.
We provide order book liquidity metrics for additional currency pairs on our interactive Factsheet.
